Our faculty is well known for their research capabilities. Throughout the years, many of their works have been published in renowned journals and presented at international conferences.
2009 |
Charlie Charoenwong, Nattawut Jenwittayaroje and Low Buen Sin, 2009, Who knows more about future currency volatility?, Journal of Futures Markets, Vol. 29, No. 3, pp. 270-295
Donald Lien, Keshab Shrestha, 2009, A New Information Share Measure, Journal of Futures Markets, Vol. 29, No. 4, pp. 377-395
|
2008 |
U. Balasooriya and Low C.K, “Modeling Insurance Claims with Extreme Observations: Transformed Kernel Density and Generalized Lambda Distribution,” American Actuarial Journal, 2008. (Accepted and forthcoming)
Charlie Charoenwong and P. Jiraporn, “Earnings Management to Exceed Thresholds: Evidence from Singapore and Thailand,” Journal of Multinational Financial Management, 2008. (Accepted and forthcoming)
Zhang Shaojun and Lei M. Li, “An Out-of-Sample Validation Study of Asset Pricing Models,” Advances in Investment Analysis and Portfolio Management, 2008. (Accepted and forthcoming)
Kang Jun-Koo and Liu Wei-Lin, “Bank Incentives and Suboptimal Lending decisions: Evidence from the Valuation Effect of Bank Loan Announcements in Japan,” Journal of Banking & Finance, 2008. Volume 32, Issue 6, pages 915-929.
Zhao Yonggan and William.T. Ziemba, “Calculating Risk Neutral Probabilities and Optimal Portfolio Policies in a Dynamic Investment Model with Downside Risk Control,” European Journal of Operations Research, 2008. Volume 185, (No. 3), pages 1525-1540.
Keshab Man Shrestha and Julia Sawicki, “Insider Trading and Earnings Management,” Journal of Business Finance and Accounting, 2008. (Accepted and forthcoming)
Keshab Man Shrestha, Sheng-Syan Chen and C.F Lee, “Do the pure martingale and joint normality hypothesis hold for futures contracts? Implications for the optimal hedge ration,” Quarterly Review of Economics and Finance, 2008.Volume 48, (No. 4), pages 153-174.
Li Jackie, On the Use of MCMC
Simulation for Stochastic Reserving; Australian Actuarial
Journal (Volume 14, Issue 2), 2008.
|
2007 |
C.F. Lee, Keshab Man Shrestha, Robert L. Welch, “Relationship Between Treasury Bills and Eurodollar: Theoretical and Empirical Analysis,” Review of Quantitative Finance and Accounting, 2007. Volume 28, (No. 2), pages 163-185.
Ang James S. and Zhang Shaojun, “Beyond Earnings Surprises: Incremental Information about Future Earnings around Earnings Announcement,” Asia-Pacific Journal of Financial Studies, 2007. Volume 36 (No. 4), pages 495-531.
|
2006 |
S.-A. Cheong
and C. L. Henley, "Many-body density matrices On a
two-dimensional square lattice: Noninteracting and strongly
interacting spinless fermions", Physical Review B,
Volume 74, (No. 16), art. 165121, 2006
Keshab Man Shrestha and Donald Lien, “An Empirical Analysis of the Relationship between the Hedge Ratio and Hedging Horizon Using Wavelet Analysis,” Journal of Futures Markets 2006. Volume 27, (No. 2), pages 127-150.
Leonard MacLean, Zhao Yonggan, and William.T. Ziemba, “Dynamic Portfolio Selection with Process Control,” Journal of Banking and Finance, 2006. Volume 30, pages 317-339.
Nilanjan Sen, Pei Yui Ho and Steve Ferris, “God Save the Queen and Her Dividends: Corporate Payouts in the U.K.,” Journal of Business. 2006. Volume 79, (No. 3), pages 1149-1174.
Visaltanachoti, N., Charlie Charoenwong and David K. Ding, “Liquidity Distribution in the Limit Order Book on the Stock Exchange of Thailand,” International Review of Financial Analysis, 2006. (Accepted and forthcoming)
Chong, Beng Soon, Keshab Shrestha and Ming-Hua Liu. “Monetary Transmission via the Administered Interest Rates Channel,” Journal of Banking and Finance, 2006. Volume 30, No. 5, pages 1467-1484.
David K. Ding, Charlie Charoenwong, Raymond Seetoh, “Prospect Theory, Analysts Forecasts, and Stock Returns,” Journal of Multinational Financial Management, 2006. (Accepted and forthcoming)
Soon Chong Beng, Liu Ming Hua and Tan Kok Hui, "The Wealth Effect of Forced Bank Mergers and Cronyism", Journal of Banking and Finance, 2006, Volume 30, (No. 1), pages 3215-3233.
James Ang and Shaojun Zhang, "Underwriting Relationship: Information Production Costs, Underwriting Fees, and First Mover Advantage", Review of Quantitative Finance and Accounting, 2006, Volume 27, pages 205-229.
|
2005 |
Keshab Shrestha and Tan Kok Hui, "Real Interest Rate Parity: Long-Run and Short-Run Analysis Using Wavelets", Review of Quantitative Finance and Accounting, 2005, Volume 25, (No. 2), pages 139-157.
Lien, Donald and Keshab Shrestha, "Estimating the Optimal Hedge Ratio with Focus Information Criterion", Journal of Futures Markets. 2005. Volume 25, (No.10), pages 1011-1024.
Zhao Yonggan, “A Dynamic Model of Active Portfolio Management,” Financial Management Association. 2005. United States.
Zhang Shaojun and Lei M. Li, “An Out of Sample Validation Study of the CAPM and Fama-French three factor model for returns of Individual Stocks,” 2005. 1st Saw Centre Conference on Quantitative Finance, Singapore.
Lim Meng Hiot and Y.L. Xu, “Application of Hybrid Genetic Algorithm in Supply Chain Management - Special issue on Multi-Objective Evolution: Theory and Applications, International Journal of Computers, Systems, and Signals,” International Journal of Computers, Systems, and Signals, 2005. Vol. 6, (No.1).
Joseph Dennis Alba, Wang Peiming and
Ho Woon Yee, "Does relative access to credit affect foreign direct investment? Firm-level evidence of Japanese FDI in the United States.” 79th Annual Conference of the Western Economic Association International, 2005. Canada.
W S Wijesoma, K.R.S. Kodagoda, and A. P Balasuriya, “Laser Camera Composite Sensing for Road Detection and Tracking,” International Journal of Robotics and Automation, 2005. Vol. 20, (No. 3)
Gerald H. L. Cheang, “Pricing Exchange Options with Discontinuous Stock Prices,” Quantitative Methods in Finance, 2005. Australia.
Bing Bing Liu, M D Adams, W S Wijesoma and Javier Ibanez Guzman, “Range Error Detection Caused by Occlusion in Non Coaxial LADARS for Scene
Interpretation,” Journal of Robotics Systems, 2005.
Covrig, Vicentiu and Low Buen Sin,”The Relevance of Analysts’ Earnings Forecasts in Japan,” Journal of Business Finance and Accounting, 2005. Vol 32; Issue 7, Pages 1437 – 1463, 2005
Low Buen Sin and Zhang Shaojun, “The Volatility Risk Premium Embedded in Currency Options,” Journal of Financial and Quantitaive Analysis, 2005. Vol 40, Issue 4, Page 803.
Leonard MacLean, Zhao Yonggan, William Ziemba, “Wealth Goals Investing,” SIAM Mathematical Programming Society. 2005.
O. Sourina , N. Korolev, "Visual Mining and Spatio-Temporal
Querying in Molecular Dynamics," Special issue on
Computational Intelligence for Molecular Biology and
Bioinformatics of the Journal of Computational and
Theoretical Nanoscience , American Scientific
Publishers, Vol. 2, No. 4, Pages 492-498, 2005.
|
2004 |
Covrig Vicentiu, Low Buen Sin, Michael Melvin, “Yen is not a Yen: TIBOR/LIBOR and the determinants of the Japan Premium”, Journal of Financial and Quantitative Analysis, 2004. Vol. 39, No. 1, pp 193 - 208.
Wang Peiming, “A zero-inflated negative binomial regression model with hidden Markov chain,” The 2004 Far Eastern Meeting of the Econometric Society, 2004. South Korea.
Sheng-Syan Chen, C.F. Lee, Keshab Man Shrestha, “An Empirical Analysis of the Relationship between the Hedge Ratio and Hedging Horizon: A Simultaneous Estimation of the Short- and Long-Run Hedge Ratio,” Journal of Futures Markets (United States), 2004. Vol. 24, No. 4, pp 359 - 386.
James S. Ang, Zhang Shaojun, “An Evaluation of Testing Procedures for Long Horizon Event Studies,” Review of Quantitative Finance and Accounting (United States), 2004. Vol. 23, No. 3, pp 251 - 274.
Nuttawat Visaltanachoti, Charlie Charoenwong, David K. Ding. ”Analysis of Limit Order Book and Order Flow,” European Financial Management Association Conference, 2004. Switzerland.
Gerald H. L. Cheang and Zhao Yonggan, “Calculus and Matrix Algebra for Finance (Second Edition),” 2004. McGraw-Hill.
Leonard MacLean, Rafael Sanegre, Zhao Yonggan and William Ziemba, “Capital Growth with Security” Journal of Economic Dynamics & Control, 2004. Vol. 28, No. 5, pp 937 - 954.
Robert Lian, Wu Yuan, Koh Hian Chye, “Decision Tree Analysis of Terminated Life Insurance Policies,” Journal of Actuarial Practice, 2004. Vol. 11, pp 79 - 102.
K C Tan, M H Lim, et. al., “Duration-Dependent Multi-Schedule Evolutionary Curriculum Timetabling, in Recent Advances in Simulated Evolution and Learning,” World Scientific, 2004.
Leonard MacLean, Zhao Yonggan, William Ziemba, “Dynamic Portfolio Selection with Process Control,”, Third World Congress, Bachelier Finance Society, 2004. United States.
J.H. Li, M.H. Lim and Q. Cao, “Evolvable Fuzzy Hardware for Real-Time Embedded Control for Packet-Switching, EVOLVABLE MACHINES: PRACTICE & EXPERIENCE,” Springer-Verlag, Heidelberg, 2004.
Low Buen Sin, “Fair Flexible Wage - A Real Option Approach,” CREFS Working Paper 2004-01, March 2004.
Leonard MacLean, William Ziemba and Zhao Yonggan, “Growth-Security Models and Stochastic Dominance,” Stochastic Optimization: Planning under Uncertainty, Kluwer, 2004.
James S. Ang and Zhang Shaojun, “League Table: A Study of the Competition to Underwrite Floating Rate Debt,” Journal of International Financial Markets, Institutions & Money, 2004. Vol. 14, No. 4, pp 329 - 350.
Ho Kim Wai, Chen Sheng-Syan, Lee Cheng-few and Keshab Man Shrestha, “Nonlinear models in corporate finance research: Review, critique, and extensions,” 2004. Review of Quantitative Finance and Accounting, Vol. 22, pp 141 - 169.
Kee H. Chung, Charlie Charoenwong, David K. Ding,”Penny Pricing and The Components of Spread and Depth Changes,”Journal of Banking and Finance (Netherlands), 2004. Vol. 28, No. 12, pp 2981 - 3007.
Vicentiu Covrig, David Ding, Low Buen Sin, “Price Discovery in Informationally-Linked Markets: A Microstructure Analysis of Nikkei 225 Futures,” Journal of Futures Markets (United States), 2004. Vol. 24, No. 10, pp 981 - 1004.
K C Tan, M H Lim, X Yao and L Wang, “Recent Advances in Simulated Evolution and Learning Advances, in Natural Computation,” Vol. 2, World Scientific. 2004.
W.S.Wijesoma, K.R.S. Kodagoda, and A. P. Balasuriya, “Road Boundary Detection and Tracking using Ladar,” IEEE Trans. Robotics and Automation, June 2004. Vol. 20, No.3, pp 456-464.
Nuttawat Visaltanachoti, Charlie Charoenwong, David K. Ding, “Spread, Depth, and Order Flow Patterns of Warrants and Their Underlying Stocks on The Stock Exchange of Thailand,” 2004. European Financial Management Association Conference, Switzerland.
S.-A. Cheong and C. L. Henley, "Operator-based
truncation scheme based on the many-body fermion density
matrix", Physical Review B, Vol. 69, no. 7,
art. 075112, 2004.
S.-A. Cheong and C. L. Henley, "Many-body density
matrices for free fermions", Physical Review B,
Vol. 69, no. 7, art. 075111, 2004.
|
2003 |
Wang Peiming, “A Bivariate Zero-inflated Negative Binomial Regression Model For Count Data With Excess Zeros,” 2003. Economics Letters (United States), Vol. 78, pp 373 - 378.
Zhao Yonggan, Ulrich Haussmann, William Ziemba, “A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome,” Mathematical Finance, 2003. Vol. 13, No. 4, pp 481 - 501.
Leonard C. MacLean, Zhao Yonggan, William Ziemba, A Process Control Approach to Investment Risk, IEEE International Conference on Computational Intelligence for Financial Engineering, Hong Kong, 2003. pp 265 - 270.
Gerald H. L. Cheang, “A Simple Approach to Pricing Options with Jumps,” Quantitative Methods in Finance. 2003.
David K. Ding, Charlie Charoenwong, “Bid-Ask Spreads, Volatility, Quote Revisions and Trades of Thinly Traded Futures Contracts,” Journal of Futures Markets, 2003. pp 455 - 486.
Zhang Shaojun, Xu-Feng Niu, James S. Ang, “Building Tracking Portfolios Based on a Generalized Information Criterion,” 2003, Statistica Sinica, Vol. 13, No. 4, pp 1075 - 1096.
Gerald H. L. Cheang and Zhao Yonggan,Calculus and Matrix Algebra for Finance, 2003, McGraw Hill.
Chen, S.S., C.F. Lee, and Keshab Shrestha, “Futures Hedge Ratios: A Review,” The Quarterly Review of Economics and Finance, 2003, Volume 43, pages 433-465.
Ashay Desai, Peter Wright, Kee Ho Chung, Charlie Charoenwong, “Impact of Changes in Strategic Investments on Shareholder Returns: The Role of Growth Opportunities,” Journal of Applied Business Research, 2003. Vol. 19, No. 1, pp 41 - 56.
Chong Beng Soon, David K. Ding, Tan Kok Hui, “Maturity Effect on Bid-Ask Spreads of OTC Currency Options,” Review of Quantitative Finance and Accounting, 2003. pp 5 - 15.
Tan, Kok Hui and Inn Leng Chan “Stress Testing Using VAR Approach - A case for Asian Currencies,” Journal of International Financial Markets, Institutions and Money, February 2003, Volume 13 (No.1)
Covrig Vicentiu and Low Buen Sin, “The Quality of Volatility Traded on the Over-The-Counter Currency Market: A Multiple Horizons Study,” Journal of Futures Markets. 2003. Vol. 23, No. 3, pp 261 - 285.
Low Buen Sin and Zhang Shaojun, “Volatility Risk Premium Embedded in Currency Options,” 16th Annual Australasian Finance & Banking Conference, Sydney, Australia, 2003.
|
2002 |
Kang, Joseph, Ming Hua Liu, and Sophie Xiaoyan Ni, "Contrarian and momentum strategies in the China Stock Market:1993-2000", Pacific-Basin Finance Journal, 2002, Volume 10, (No. 3), pages 243-265.
Ferris Stephen P., Nilanjan Sen, Chee Yeow Lim and Gillian H.H. Yeo, “Corporate Focus versus Diversification: The Role of Growth Opportunities and Cash Flow,” Journal of International Financial Markets, Institutions and Money, 2002, Volume 12, pages 231-252.
Tan, Kok Hui, Ang Kian Ping and Shafiqur Rahman, “Option Implied Moments - An Application to Nikkei 225 Futures Options,” Review of Pacific Basin Financial Markets and Policies, 2002. Volume 5 (No. 3).
F Harary, M H Lim & D C Wunsch “Risk Management Using Signed Graphs,” IMA Journal of Management Mathematics, July 2002. Volume 13, Issue 3, pp. 201-210.
Julia Sawicki and Frank Finn, “Smart Money and Small Funds,” Journal of Business Finance and Accounting, 2002. Vol. 29, No. 5&6, pp 825 - 846.
Julia Sawicki, “Style Analysis: The Case of Balanced Funds,” 2nd Portuguese Finance Network Conference, 2002. Portugal.
Saw Leng Chooi, Sutaip, Uditha Balasooriya, Tan Khye Chong, “The Log-EIG Distribution: A New Probability Model for Lifetime Data,” Communications in Statistics - Theory and Methods, 2002. Vol. 31, No. 11, pp 1913 – 1926.
|
2001 |
|
Zhao Yonggan and William Ziemba, “A stochastic programming model using an endogenously determined worst case risk measure for dynamic asset allocation,” Mathematical Programming, 2001. Vol. 89, No. 2, pp 293 - 309.
Julia Sawicki, “Investors' Differential Response to Managed Fund Performance,” Journal of Financial Research, 2001. Vol. XXIV, No. 3, pp 367 - 384.
Wang Peiming, “Markov zero-inflated Poisson regression models for a time series of counts with excess zeros,” Journal of Applied Statistics (United Kingdom), 2001. Vol. 28, pp 623 - 632.
Gerald H. L. Cheang, Andrew R. Barron, “Penalized least squares, model selection, convex hull classes and neural nets,” 2001, European Symposium on Artificial Neural Networks, Belgium, pp 371 - 376.
T. Vegge, J. P. Sethna, S.-A. Cheong,
K. W. Jacobsen, C. R. Myers, and D. C. Ralph, "Calculation
of quantum tunneling for a spatially extended defect: The
dislocation kink in copper has a low effective mass'',
Physical Review Letters, Vol. 86, no. 8, pp.
1546-1549, 2001.
|
2000 |
|
Zhao Yonggan and William Ziemba, A Dynamic Asset Allocation Model with Downside Risk Control, Journal of Risk, 2000. Vol. 3, No. 1, pp 91 - 113.
Charlie Charoenwong and Kee Ho Chung, “An Empirical Analysis of Quoted Depths of NYSE and AMEX Stocks,” 2000. Review of Quantitative Finance and Accounting, Vol. 14, No. 1, pp 85 - 102.
M H Lim, D Wuncsh and K W Ho, “An Evolutionary Programming Methodology for Portfolio Selection,” IEEE/IAFE/INFORMS Conference on Computational Intelligence for Financial Engineering (CIFEr-2000), March 26-28 2000, Crowne PlazaManhattan, New York.
Uditha Balasooriya, Saw Leng Chooi, Sutaip, V. Gadag, “Progressively Censored Reliability Sampling Plan for Weibull Distribution,” 2000, Technometrics Vol. 42, No. 2, pp 160 - 167.
Y. Altunbas, Liu Ming Hua, P. Molyneux, R. Seth, “Risk and Efficiency in Japanese Banking ,” Journal of Banking and Finance, 2000. Vol. 24, pp 1605 - 1628.
|
*For more
listings of the research of the teaching faculty, please refer to
their respective profile under Faculty. |
| |
| |
